Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers

DOI10.1111/J.1368-423X.2004.00124.XMaRDI QIDQ3156189zbMATH OpenOpenAlexFDO

Authors Wei Zhang, Lung-fei Lee

Publication date 6 January 2005

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2004.00124.x

zbMATH Keywords

dividend decisiondynamic discrete choice modelimportance samplingpanel data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Numerical integration (65D30) Social choice (91B14) Economic time series analysis (91B84)

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Cites work

• Estimation of dynamic and ARCH Tobit models
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• scientific article; zbMATH DE number 1943891 (Why is no real title available?)
• scientific article; zbMATH DE number 3992765 (Why is no real title available?)
• Panel data analysis of household brand choices
• Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Statistical inference in the multinomial multiperiod probit model
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Time series analysis by state space methods
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

Cited in

(2)

• Efficient importance sampling maximum likelihood estimation of stochastic differential equations
• Simulated classical tests in multinomial probit models

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